Highlights
Coverage, at 3.27, was solid for the weekly 4-week T-bill auction, where demand from end investors was strong despite very heavy supply, with the larger than normal offering in the 4-week bill accompanied by a $50 billion 55-day cash management bill. Non-dealers nevertheless took down 43 percent of the $50 billion offered in the 4-week bill, above the long term takedown average of 38 percent. The 1.360 percent high discount rate was 12 basis points below last week's rate.

Definition
Treasury bills are sold at public auctions every week. Competitive bids at these auctions determine the interest rate paid on each issue. A group of securities dealers, known as primary dealers, are authorized and obligated to submit competitive tenders at Treasury auctions. Dealers can hold the bills, resell the bills to their clients or trade them with other securities firms. Typically, the New York Fed approves about 20 securities firms to be primary dealers but that number dropped sharply during the 2008 financial crisis as some were merged into other firms or went bankrupt. The Fed has been rebuilding that number regularly and the latest list can be found here. Since these are public auctions, the Treasury must announce the size, date and time of the auction every week. Four-week bills are announced on Monday for a Tuesday auction and are issued (settled) on Thursday of the same week. If a Monday is a banking holiday, the bills are auctioned on Wednesday. (Department of the Treasury)
Why Investors Care

Data Source: Haver Analytics

The 4-week note was instituted to
replace the necessity for
sporadic cash management bills.
This weekly auction is more
predictable for investors.
Predictability in the Treasury
market is a highly rate feature
that promotes demand for these
bills. The 4-week bill rate
depicted in this chart represents
the high discount rate from the
Treasury's weekly auction on
Tuesdays. It only represents one
moment in time, and is not an
average of daily numbers. The
dates on the chart and the grid
are the auction dates of the
security, which are usually on
Tuesdays.Data Source: Haver Analytics